Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0562 |
| Annualized Std Dev | 0.3591 |
| Annualized Sharpe (Rf=0%) | 0.1564 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.2795 |
| Quartile 1 | -0.0090 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0106 |
| Maximum | 0.2833 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0005 |
| Stdev | 0.0226 |
| Skewness | -0.2549 |
| Kurtosis | 15.7735 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0164 |
| Gain Deviation | 0.0163 |
| Loss Deviation | 0.0181 |
| Downside Deviation (MAR=210%) | 0.0205 |
| Downside Deviation (Rf=0%) | 0.0162 |
| Downside Deviation (0%) | 0.0162 |
| Maximum Drawdown | 0.8515 |
| Historical VaR (95%) | -0.0329 |
| Historical ES (95%) | -0.0543 |
| Modified VaR (95%) | -0.0311 |
| Modified ES (95%) | -0.0311 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-11 | 2009-03-09 | NA | -0.8515 | 3342 | 312 | NA |
| 2000-02-09 | 2001-09-21 | 2003-10-30 | -0.6459 | 936 | 405 | 531 |
| 2006-05-11 | 2006-06-13 | 2007-10-29 | -0.3683 | 370 | 23 | 347 |
| 2004-01-14 | 2004-05-17 | 2004-12-21 | -0.3447 | 237 | 86 | 151 |
| 2005-09-20 | 2005-10-27 | 2006-01-26 | -0.2121 | 89 | 28 | 61 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.1 | 8.5 | -2.1 | 4 | 3 | -0.6 | -2.9 | -2 | -3.3 | -4.5 | 2.8 | 3.5 | 5.8 |
| 2000 | 1.9 | 2.7 | -1.9 | 2.6 | 0 | 3.2 | -1.2 | 3.1 | -1.2 | -1.2 | 4.3 | 1.1 | 14.1 |
| 2001 | -0.3 | 1 | -11.9 | 0.2 | 0.4 | 0.6 | -0.4 | 1 | -3.9 | 4 | 0.2 | 4.2 | -5.7 |
| 2002 | 0 | 2.5 | 0.8 | 0.1 | 0.9 | 0.6 | -3.3 | 0.4 | -0.7 | -0.8 | 0.7 | 1.9 | 3.2 |
| 2003 | -1.6 | 0.3 | 0.2 | 1.2 | 0.6 | -0.6 | -1.1 | 0.7 | 0.7 | 4.7 | 4.4 | -2.5 | 6.8 |
| 2004 | 5.2 | 5.2 | 4.1 | -0.5 | 1 | -0.4 | 0 | 2.7 | 3.1 | 0.4 | 4.5 | 1.1 | 29.6 |
| 2005 | 1.1 | 1.1 | 3.4 | 1.6 | -0.5 | 1.3 | -0.8 | 1.2 | -0.3 | 4.5 | 3.4 | -0.6 | 16.2 |
| 2006 | -1.7 | 3.6 | -0.9 | 2.5 | 2.7 | -0.9 | -1.4 | 0.8 | -0.1 | -1 | 0 | -0.7 | 2.8 |
| 2007 | 2 | 0.1 | -2.9 | 0.4 | 1.1 | 0.4 | -0.9 | 2.3 | 1.6 | -3.5 | 3.2 | 2.4 | 6.2 |
| 2008 | 4.2 | -3.1 | 5.8 | 2.3 | 0.2 | -2.6 | 3.6 | -1.2 | 2.5 | 3.9 | -5 | 2.5 | 13.3 |
| 2009 | 0 | -0.7 | 6.2 | 2.9 | 5.3 | 0 | 1.6 | -0.8 | -1 | -3.8 | 1.7 | 0.1 | 11.5 |
| 2010 | 0.8 | 1.4 | 1.3 | -0.6 | -2.2 | -0.7 | -0.3 | 3 | 2.2 | 0.4 | 4.2 | 0.6 | 10.4 |
| 2011 | -0.9 | 0.9 | 0.4 | 0.1 | -1.1 | -0.7 | -0.3 | -1.4 | -3.2 | -2.3 | 0.1 | 2 | -6.5 |
| 2012 | 2.9 | 0.8 | 2.2 | 0 | -1.5 | 5.4 | -0.5 | 0.7 | 1.8 | 1.8 | 1.3 | -0.1 | 15.8 |
| 2013 | 0.8 | -0.7 | -0.5 | -1.3 | -2.3 | 1 | 1.4 | 2.2 | 2.4 | 0.4 | 1.8 | -0.6 | 4.5 |
| 2014 | -0.1 | 0.2 | 0.8 | -0.4 | -0.9 | 1.1 | -0.3 | 0.5 | -1.6 | 2.3 | 0.5 | 0.6 | 2.7 |
| 2015 | -2 | 2.1 | 1.1 | 1.4 | 0.6 | 1.5 | 1.3 | -0.8 | -0.8 | -0.9 | 1 | 1.3 | 6 |
| 2016 | 0.8 | 4.1 | 0.6 | -0.1 | -0.2 | 1.5 | 0.2 | -0.2 | 1.2 | -0.7 | -0.9 | 1.1 | 7.5 |
| 2017 | 1 | 1.4 | 0.7 | -0.1 | 1 | 0.1 | 0.6 | 0.5 | 0.4 | 0.7 | -1.2 | 0.4 | 5.7 |
| 2018 | -1.2 | 0.4 | -1.1 | -0.8 | 0.7 | 0.9 | 0.2 | 0.8 | -1.3 | 3.3 | -0.3 | 0.1 | 1.6 |
| 2019 | -0.8 | -0.3 | 0.7 | -0.5 | 0.5 | 1.2 | -0.6 | 0.3 | -1.7 | 1 | -0.5 | -0.3 | -1 |
| 2020 | -1 | -4.4 | -6.2 | -2.9 | 2.4 | 1.2 | -0.3 | 1.2 | 1.1 | -0.1 | 2.5 | -0.2 | -7 |
| 2021 | 4.1 | 2.3 | 1.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-01-04 7 SPY 123. NA NA NA NA NA NA NA <NA> NA NA NA
2 1999-01-05 7.06 SPY 124. 0.0114 NA NA NA NA NA NA <NA> NA NA NA
3 1999-01-06 7.5 SPY 127. 0.0241 NA NA NA NA NA NA <NA> NA NA NA
4 1999-01-07 7.56 SPY 127. -0.0049 NA NA NA NA NA NA <NA> NA NA NA
5 1999-01-08 7.75 SPY 128. 0.0074 NA NA NA NA NA NA <NA> NA NA NA
6 1999-01-11 7.62 SPY 127. -0.0095 0.0284 NA NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
